Your pictures aren't named correctly. Each image must have the same prefix followed by a 3-digit number. Start with 001 and count up - in the tutorial, he's using face001, face002, face003, etc. You could use whatever, but they all need to match, and the 3 digit number is required.
First, delete the images from your project. Then, in the Finder, rename the photos correctly.
When you get back into Motion, click the 'Import' button (or File -> Import...) and locate your first picture (photo001). Once the Import window is open, click the Options button in the lower left corner - you'll see the Image Sequence checkbox appear, but greyed out.
After you select your first numbered picture, you can click the Image Sequence checkbox and then finish importing the sequence.
Once you've done that, the rest of the tutorial will work as presented.